2022:
Peer Momentum
by Efdal Ulas Misirli, Daniela Scida, and Mihail Velikov, DC-Area Junior Conference
Economic Narratives and Market Outcomes: A Semi-supervised Topic Modeling Approach
by Dat Mai and Kuntara Pukthuanthong, MFA Annual Meeting
The Temporal Structure of Risk and the Cross-Section of Equity Returns
by Shane Miller, AFA Annual Meeting
2021:
Skewness and time-varying second moments in a nonlinear production network: theory and evidence
by Ian Dew-Becker, Alireza Tahbaz-Salehi, and Andrea Vedolin, Shanghai Financial Forefront Symposium
A Structural Model of Interbank Network Formation and Contagion
by Patrick Coen and Jamie Coen, SaMMF OTC Markets Workshop
2020:
Non-Market Factors and the CAPM: the Market Index Effect
by Michael F. Ferguson, Babak Lotfaliei, and Timothy E. Trombley, FMA Virtual Conference
One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns
by Nishad Kapadia, Matthew Linn, and Bradley S. Paye, EFA Annual Meeting
Risk Factors that Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns
by Alejandro Lopez-Lira, SFS Cavalcade NA 2020
2019:
A Toolkit for Factor-Mimicking Portfolios
by Kuntara Pukthuanthong, Richard Roll, Junbo Wang, Tengfei Zhang, CICF 2019
q^5
by Kewei Hou, Haitao Mo, Chen Xue, and Lu Zhang, Carey Finance Conference
Factors that Fit the Time Series and Cross-Section of Stock Returns
by Martin Lettau, Markus Pelger, SFS Cavalcade NA 2019